Low Risk Anomaly In The Cee Stock Markets

Adam Zaremba

Abstract

Using sorting and cross section, the study investigates the low risk anomaly in the CEE markets. The research examines four risk measures (beta, standard deviation, VaR, idiosyncratic volatility) and is based on performance of over 1.000 stocks from 11 countries for the years 2002-2014. The stock returns are non-monotonically related to a systematic component of risk and negatively related to an idiosyncratic component of risk. The top beta stocks underperform the market, while the portfolios with a low VaR or idiosyncratic volatility have positive abnormal returns, but some of the outperformance is explained by the momentum phenomenon. The VaR and idiosyncratic risk effects are largely reversed for microcaps. The risk-based strategies in the CEE to some extend comove with their international counterparts. Finally, the low-risk stocks do not provide an effective hedge against market distress.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesRomanian Journal of Economic Forecasting, ISSN 1582-6163, (A 15 pkt)
Issue year2015
VolXVIII
No3
Pages81-102
Publication size in sheets1.05
Keywords in Englishlow risk anomaly, volatility anomaly, beta anomaly, Central and Eastern Europe, asset pricing, CEE stock markets, standard deviation, value at risk, idiosyncratic volatility, CAPM, value effect, size effect, momentum effect, multifactor models, market distress, investment strategies
ASJC Classification2000 General Economics, Econometrics and Finance
URL http://www.ipe.ro/rjef/rjef3_15/rjef3_2015p81-102.pdf
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 15.0, 08-01-2020, ArticleFromJournal
Ministerial score (2013-2016) = 15.0, 08-01-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2015 = 0.519; WoS Impact Factor: 2015 = 0.348 (2) - 2015=0.281 (5)
Citation count*1 (2020-09-10)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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